Long strange segments of a stochastic process
نویسندگان
چکیده
منابع مشابه
Long Strange Segments of a Stochastic Process and Long Range Dependence
We study long strange intervals in a linear stationary stochastic process with regularly varying tails. It turns out that the length of the longest strange interval grows, as a function of the sample size, at diierent rates in diierent parts of the parameter space. We argue that this phenomenon may be viewed in a fruitful way as a phase transition between short and long range dependence. We pro...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2001
ISSN: 1050-5164
DOI: 10.1214/aoap/1015345352